Dear colleague,

We would like to bring your attention to the 5th annual CARISMA conference.

5th Annual CARISMA Conference 2010: The Interface of Behavioural Finance and Quantitative Finance, 2 - 3 February 2010, London

Pre-conference workshop: News Analytics Applied to Trading, Fund Management and Risk Control, 1 February 2010, London

http://www.optirisk-systems.com/events/carisma2010.asp http://www.optirisk-systems.com/events/carisma2010.asp

Background:

In the current chaotic financial climate, new systems are being developed to analyze market behaviour and the attitudes of financial professionals. The emergence and impact of behavioural finance is reflected in the choice of recent recipients of the Nobel Prize in Economics. As behavioural finance develops, it is intensifying its use of tools and techniques from quantitative finance, so that mathematical and statistical methodologies are being employed to understand the behavioural biases of decision makers (fund managers, traders...) and their impact on market valuations.

For the last half century, the neoclassical paradigm -- featuring rational decision making, efficient markets, the capital asset pricing model, and the Black-Scholes option pricing formula -- has dominated finance. However, a new financial paradigm is emerging, one that combines the realistic psychological features favoured by proponents of behavioural finance and the powerful quantitative techniques favoured by proponents of neoclassical finance.

Conference Programme:

Day 1:

Opening Keynote Address: Behaviouralizing Finance

- Hersh Shefrin, Mario L. Belotti Professor of Finance, Department of Finance at Santa Clara University's Leavey School of Business.

Tutorial: Hope, Fear, and Aspiration

- Xunyu Zhou, Nomura Professor of Mathematical Finance and Director, Nomura Centre for Mathematical Finance, Mathematical Institute, University of Oxford

A Satisfying Alternative to Prospect Theory

- Enrico De Giorgi, University of Lugano

Tutorial: Evolutionary Finance - Investment advice inspired by Darwin

- Klaus Reiner Schenk-Hoppé, Leeds University

Individual Asset Liability Management

- Michael Dempster and Elena Medova, University of Cambridge and Cambridge Systems Associates Ltd

Prospect Theory and the Implied Fundamental Risk

- Philip Z. Maymin, Polytechnic Institute of New York University

Value-at-Risk vs. Conditional Value-at-Risk in Risk Management and Optimization

- Stan Uryasev, University of Florida

Learning from the Outcomes of Others: Stock Market Experiences of Local Peers and New Investors' Market Entry

- Markku Kaustia, Professor, Helsinki School of Economics

Day 2

Assessing Equity Risk as the Potential Imbalance of Buyers and Sellers

- Dan di Bartolomeo, Northfield Information Services Inc

Applications of News Analytics in Finance: A Review

- Gautam Mitra and Leela Mitra, CARISMA/OptiRisk Systems

Keynote Presentation 1: Relating News Analytics to Stock Returns

- David Leinweber and Jacob Sisk, UC Berkeley

Why Does Volatility Increase in Bear Markets? An international view on asymmetric volatility.

- Marc Oliver Rieger, Assistant Professor, Swiss Banking Institute, University of Zurich

Over- and Under- Reaction in Liquid Markets

- Alexei Chekhlov , Columbia University / Systematic Alpha Management

Keynote Presentation 2: Speculative Bubbles: Theory and Implications

- Wei Xiong, Princeton University

Crowded Trades: A Potential Bayesian Remedy

- Wing Cheung, Nomura International Plc

Conference website:

http://www.optirisk-systems.com/events/carisma2010.asp

We look forward to seeing you at the event.

Merry Xmas and Happy New Year!

Warm regards,

Michael

~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ Michael(Xiaochen) Sun, PhD, MSc Research Associate The Centre for the Analysis of Risk and OptimISation Modelling Applications CARISMA, www.carisma.brunel.ac.uk http://www.carisma.brunel.ac.uk/ School of Information Systems, Computing and Mathematics Brunel University, Uxbridge, UB8 3PH, Middlesex, United Kingdom Telephone: +44 1895 265625 [M503], Fax: +44 1895 269732 Webpage:http://people.brunel.ac.uk/~mapgxcs http://people.brunel.ac.uk/~mapgxcs http://optirisk.googlepages.com http://optirisk.googlepages.com/ http://ssrn.com/author=974259 http://ssrn.com/author=974259 ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~